MBS, CDO와 투자자의 위험관리

Securitization is supposed to perform a desirable function of financial intermediation, enabling originators to raise more funds on better terms by efficiently transferring risks to investors of various risk appetites through pooling and tranching. Subprime mortgage-backed securities (MBSs) and collateralized debt obligations (CDOs) of asset-backed securities, however, are now being blamed for provoking the current global financial crisis. This article reviews how originators, credit rating agencies (CRAs) and investors involved in MBS and CDO transactions have contributed to this crisis and what regulatory responses thereto are being proposed. In this regard, such factors as easing of the underwriting standards for subprime mortgages, originate-to- distribute business model, CRAs’ conflicts of interest, errors in the models used for evaluating risks of structured products, misperception of the meaning of credit ratings, flaws in the compensation schemes, use of excessive leverage and failures in liquidity management are specifically examined.